Volatility spillover and investment strategies among sustainability-related financial indexes : evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach
Wenting Zhang, Xie He, Shigeyuki Hamori
| Year of publication: |
2022
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| Authors: | Zhang, Wenting ; He, Xie ; Hamori, Shigeyuki |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-14
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| Subject: | Carbon emission futures | Connectedness | DCC-GARCH-based dynamic connectedness approach | ESG index | Risk hedging | Sustainability-related index | Volatilität | Volatility | Aktienindex | Stock index | Hedging | Treibhausgas-Emissionen | Greenhouse gas emissions | Index-Futures | Index futures | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102223 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013454962